Using Extreme Value Theory to Estimate Large Percentiles
作者:
DennisD. Boos,
期刊:
Technometrics
(Taylor Available online 1984)
卷期:
Volume 26,
issue 1
页码: 33-39
ISSN:0040-1706
年代: 1984
DOI:10.1080/00401706.1984.10487919
出版商: Taylor & Francis Group
关键词: Percentiles;Quantiles;Extreme value theory;Order statisticss;Censoring
数据来源: Taylor
摘要:
Weissman (1978) suggested percentile estimators based on the joint limiting distribution of theklargest order statistics. The present work identifies situations where Weissman's estimators are a significant improvement over the usual sample percentile estimators and gives practical advice on how to use these new estimators effectively. In particular, large reductions in mean squared error can be made when the tails of the distributions are approximately exponential andp≥ .95.
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